The Role of Data Providers as Information Intermediaries
Journal of Financial and Quantitative Analysis, Forthcoming
63 Pages Posted: 15 Nov 2015 Last revised: 28 Jun 2017
Date Written: June 28, 2017
This study investigates whether financial data providers serve as information intermediaries in capital markets. To this end, I examine whether the timeliness of earnings information disseminated by First Call (Thomson Reuters) affects the market's reaction to earnings announcements. I document that the immediate price and volume response is weaker and the post-earnings announcement drift stronger for earnings news disseminated with a delay by First Call. To mitigate endogeneity concerns, I study the market reaction on the day of the delayed dissemination and show that a significant part of the stronger drift is clustered around this day.
Keywords: information intermediaries, data providers, earnings announcements, capital market reaction, post-earnings announcement drift
JEL Classification: D83, G12, G14
Suggested Citation: Suggested Citation